统一策略成交保护与锁定周期并修正日期条件覆盖

crates/fidc-core/src/broker.rs

@@ -381,6 +381,8 @@ pub struct BrokerSimulator<C, R> {
     runtime_intraday_end_time: Cell<Option<NaiveTime>>,
     runtime_decision_date: Cell<Option<NaiveDate>>,
     runtime_buy_denials: RefCell<BTreeMap<String, String>>,
+    runtime_auto_buy_denials: RefCell<BTreeMap<String, String>>,
+    runtime_auto_sell_denials: RefCell<BTreeMap<String, String>>,
     runtime_order_created_date: Cell<Option<NaiveDate>>,
     runtime_decision_total_equity: Cell<Option<f64>>,
     runtime_target_position_limit: Cell<Option<usize>>,
@@ -414,6 +416,8 @@ impl<C, R> BrokerSimulator<C, R> {
             runtime_intraday_end_time: Cell::new(None),
             runtime_decision_date: Cell::new(None),
             runtime_buy_denials: RefCell::new(BTreeMap::new()),
+            runtime_auto_buy_denials: RefCell::new(BTreeMap::new()),
+            runtime_auto_sell_denials: RefCell::new(BTreeMap::new()),
             runtime_order_created_date: Cell::new(None),
             runtime_decision_total_equity: Cell::new(None),
             runtime_target_position_limit: Cell::new(None),
@@ -451,6 +455,8 @@ impl<C, R> BrokerSimulator<C, R> {
             runtime_intraday_end_time: Cell::new(None),
             runtime_decision_date: Cell::new(None),
             runtime_buy_denials: RefCell::new(BTreeMap::new()),
+            runtime_auto_buy_denials: RefCell::new(BTreeMap::new()),
+            runtime_auto_sell_denials: RefCell::new(BTreeMap::new()),
             runtime_order_created_date: Cell::new(None),
             runtime_decision_total_equity: Cell::new(None),
             runtime_target_position_limit: Cell::new(None),
@@ -1389,6 +1395,11 @@ where
     ) -> Result<BrokerExecutionReport, BacktestError> {
         let previous_decision_date = self.runtime_decision_date.get();
         let previous_buy_denials = self.runtime_buy_denials.replace(decision.buy_denials.clone());
+        let protection_denials = |scope| decision.risk_decisions.iter()
+            .filter(|row| !row.accepted && row.stage == "automatic_trade_protection" && row.scope == scope)
+            .map(|row| (row.symbol.clone(), row.reason.clone())).collect();
+        let previous_auto_buy_denials = self.runtime_auto_buy_denials.replace(protection_denials(crate::risk_control::RiskCheckScope::Buy));
+        let previous_auto_sell_denials = self.runtime_auto_sell_denials.replace(protection_denials(crate::risk_control::RiskCheckScope::Sell));
         let previous_order_created_date = self.runtime_order_created_date.get();
         let previous_decision_total_equity = self.runtime_decision_total_equity.get();
         self.runtime_decision_date.set(Some(decision_date));
@@ -1398,6 +1409,8 @@ where
             .set(decision_total_equity.filter(|equity| equity.is_finite() && *equity >= 0.0));
         let result = self.execute_with_runtime_dates(date, portfolio, data, decision);
         self.runtime_buy_denials.replace(previous_buy_denials);
+        self.runtime_auto_buy_denials.replace(previous_auto_buy_denials);
+        self.runtime_auto_sell_denials.replace(previous_auto_sell_denials);
         self.runtime_decision_date.set(previous_decision_date);
         self.runtime_order_created_date
             .set(previous_order_created_date);
@@ -2850,6 +2863,15 @@ where
             return;
         }
 
+        let protection = match existing.side {
+            OrderSide::Buy => self.runtime_auto_buy_denials.borrow().get(&existing.symbol).cloned(),
+            OrderSide::Sell => self.runtime_auto_sell_denials.borrow().get(&existing.symbol).cloned(),
+        };
+        if let Some(denial) = protection
+            && (target_limit_price.to_bits() != existing.limit_price.to_bits() || target_total_quantity != existing.requested_quantity) {
+            Self::emit_open_order_update_rejected(report, date, order_id, Some(&existing.symbol), Some(existing.side), reason, &denial);
+            return;
+        }
         let resets_queue_priority = target_limit_price.to_bits() != existing.limit_price.to_bits()
             || target_total_quantity > existing.requested_quantity;
         {
@@ -4139,6 +4161,9 @@ where
         minimum_order_quantity: u32,
         order_step_size: u32,
     ) -> Option<String> {
+        if let Some(reason) = self.runtime_auto_sell_denials.borrow().get(symbol) {
+            return Some(reason.clone());
+        }
         if current_qty == 0 {
             return None;
         }
@@ -4299,6 +4324,10 @@ where
         algo_request: Option<&AlgoExecutionRequest>,
         report: &mut BrokerExecutionReport,
     ) -> Result<(), BacktestError> {
+        // Existing accepted orders are not canceled by a subsequently enabled lock.
+        if emit_creation_events && self.runtime_auto_sell_denials.borrow().contains_key(symbol) {
+            return Ok(());
+        }
         let remainder_policy = self.effective_remainder_policy(date, allow_pending_limit);
         let Some(position) = portfolio.position(symbol) else {
             return Ok(());
@@ -6074,6 +6103,9 @@ where
         algo_request: Option<&AlgoExecutionRequest>,
         report: &mut BrokerExecutionReport,
     ) -> Result<(), BacktestError> {
+        if emit_creation_events && self.runtime_auto_buy_denials.borrow().contains_key(symbol) {
+            return Ok(());
+        }
         let remainder_policy = self.effective_remainder_policy(date, allow_pending_limit);
         if portfolio
             .position(symbol)